Market Efficiency of the Amman Stock Market: Evidence From the Examination of Trading Rules

This paper tests the validity of the weak-form of the Efficient Market Hypothesis for theAmman Stock Exchange (ASE) for a full sample and three sub-periods of that spanningperiod 2000-2012. The research uses statistical analyses and moving average rulesand offers further evidence of the inefficiency of the Amman stock market whenapplying trading rules. The empirical results indicate that moving average strategiesare successful in predicting the returns for the ASE Index and outperforming the naivebuy-and-hold strategy. However, the findings for the sub-periods suggest a certaindegree of improvement toward the efficiency achieved by the Amman stock market thathas occurred from recent developments such as the introduction of new regulationsand the development of market microstructures.